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Artificial economic life: a simple model of a stockmarket
Journal article   Peer reviewed

Artificial economic life: a simple model of a stockmarket

R.G Palmer, W Brian Arthur, John H Holland, Blake LeBaron and Paul Tayler
Physica. D, Vol.75(1), pp.264-274
1994

Abstract

We describe a model of a stockmarket in which independent adaptive agents can buy and sell stock on a central market. The overall market behavior, such as the stock price time series, is an emergent property of the agents' behavior. This approach to modelling a market is contrasted with conventional rational expectations approaches. Our model does not necessarily converge to an equilibrium, and can show bubbles, crashes, and continued high trading volume.

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